Semi-analytic valuation of stock loans with finite maturity-Reference-Cited by-同舟云学术

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Semi-analytic valuation of stock loans with finite maturity

Published:2015-10 Issue:1-3 Volume:27 Page:206-215
ISSN:1007-5704
Container-title:Communications in Nonlinear Science and Numerical Simulation
language:en
Short-container-title:Communications in Nonlinear Science and Numerical Simulation

Author:

Lu Xiaoping,Putri Endah R.M.

Funder

Institut Teknologi Sepuluh Nopember

DIKTI

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis

Reference23 articles.

1. The valuation of American put options;Brennan;J Finance,1977

2. The American put option and its critical stock price;Bunch;J Finance,2000

3. An explicit series approximation to the optimal exercise boundary of American put options;Cheng;Commun Nonlinear Sci Numer Simul,2010

4. Option pricing: a simplified approach;Cox;J Financial Econ,1979

5. Optimal redeeming strategy of stock loans with finite maturity;Dai;Math Finance,2011

Cited by 15 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. An Integral Equation Approach for the Valuation of Finite-maturity margin-call Stock Loans;2024

2. Asymptotic analysis for stock loans near maturity;Filomat;2023

3. On stock-based loans;Journal of Financial Intermediation;2022-10

4. Pricing stock loans under the L$ \acute{e} $vy-$ \alpha $-stable process with jumps;Networks and Heterogeneous Media;2022

5. FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY;The ANZIAM Journal;2021-04

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